金融科技与银行的风险联动性研究--基于港股上市企业的网络分析  

Interplay of Fintech and Banking Risks:A Micro-Level Perspective from Hong Kong's Listed Entities

作　　者：张晓明[1] 周鹤罡 ZHANG Xiaoming;ZHOU Hegang(School of Economics and Management,Beijing Jiaotong University,Beijing 100044,China;School of Finance,Central University of Finance and Economics,Beijing 102206,China)

机构地区：[1]北京交通大学经济管理学院,北京交通大学国家经济安全预警工程北京实验室 [2]中央财经大学金融学院

出　　处：《金融评论》2023年第6期72-101,123,124,共32页Chinese Review of Financial Studies

基　　金：中央高校基本科研业务费专项资金资助重点培育项目“宏观审慎框架下的我国金融机构系统性风险监管研究”(项目批准号:2021JBWB104)资助。

摘　　要：本文采用CoVaR和MES方法对港股上市银行和金融科技机构的风险水平进行测度,在此基础上通过PMFG算法构建多层风险关联网络,探究微观层面下金融科技机构和银行风险水平关联。与此同时,本文采用市值加权、年度调仓以及业务拆分的方法构建金融科技行业指数,并度量行业风险程度,进而通过时变风险溢出网络考察金融科技行业对不同股权性质银行市场的风险溢出方向和大小的异质性。研究结论如下:(1)由于发展尚不成熟和监管体制有待完善,金融科技机构自身的风险水平相对处于高位,而鉴于其体量和业务规模相较于银行业较小,金融科技行业对整体市场的风险水平影响力较弱。(2)伴随金融科技行业的发展,过去由国有大型银行主导的银行体系逐渐转变为“多种性质金融机构交错关联,互相影响”的新市场形态,传统银行业“太大而不能倒”的原则也逐渐向“太关联而不能倒”转变。(3)金融科技行业的兴起虽然对传统银行业造成了一定冲击,但整体而言银行业在与金融科技行业的竞争中依旧占据主导地位,银行依然是风险溢出的主要净输出者。This paper employs CoV aR(Conditional Value at Risk)and MES(Marginal Expected Shortfall)to assess the risk level of banks and fintech companies listed in Hong Kong.It constructs a multi-layered risk connectedness network through the PMFG(Planar Maximally Filtered Graph)algorithm.This network offers insights into the nuanced interdependencies between fintech entities and the banking sector's risk profile at a micro level.Moreover,the paper innovatively constructs a fintech industry index,integrating market value weighting,annual position adjustments,and sectorspecific business segmentation.This index serves as a tool to gauge the industry-wide risk magnitude.Subsequently,employing a dynamic risk spillover network,the paper analyzes the variability and directionality of risk transfer from the fintech sector to distinct equity markets within the banking industry.Key findings of this investigation are threefold:(1)Given its nascent stage of development and the evolving regulatory framework,the inherent risk within fintech institutions is relatively pronounced.However,considering their smaller scale and business footprint compared to the banking sector,their impact on the overall market risk level remains marginal.(2)The evolution of the fintech industry has instigated a paradigm shift in the banking ecosystem,historically dominated by large state-owned banks.The market dynamic has transitioned from a‘too big to fail'principle to a more interconnected framework,where the axiom is now‘too connected to fail.'(3)Despite the fintech sector's growing influence,the traditional banking industry continues to maintain its supremacy in the competitive landscape.Predominantly,large state-owned and joint-stock banks emerge as principal net risk exporters within this interplay.

关 键 词：金融科技 多层风险关联网络 时变风险溢出网络 

分 类 号：F832.51[经济管理—金融学]